前景价值能否预测股票收益?——基于定向增发的实证研究

Can Prospect Value Predict the Stock Return? Evidence from Seasoned Equity Offering in China's Stock Market

基于前景理论,提出前景价值影响股票收益的研究假设,运用2006-2016年定向增发的相关数据,实证检验前景价值对增发股票收益的预测能力。结果表明:在定向增发实施前,投资者对定增股票的前景价值估值为负,且对股票收益有负向影响,当前景价值较高或收益较低时,前景价值对股票收益的预测能力相对较强,投资者和监管部门可运用前景价值作为决策变量,制定其投资组合方案和监管政策。

Under the framework of the prospect theory,we provide the hypothesis that the prospect value can have an impact on the stock return.By using the data of seasoned equity offering from 2006 to 2016 in China＇s stock market,we construct the empirical study to examine the influencing factors of stock return.The empirical results show that the investors have a negative evaluation on the stock before the seasoned equity offering is implemented.Meanwhile,the prospect value has a negative impact on the stock return,and this relationship is significant when the prospect value is relatively high or the return is low.Thus,the investors and supervisors can take the prospect value as the decision indicator to manage the investment portfolio and make supervision policies.